I am new to IM but have been studying the documentation and posts to see if what I am trying to do is possible.
My main goal is to see how much can be done with creating layered PSD file from a bunch of images. I plan to incorporate it into a VBScript tool I am working on, with the help of IM COM+ object.

Is it currently possible to:
1) combine a set of JPG and PNG files as a single layered PSD file (with customized layer names)
2) create Photoshop GROUPS and place cetrain layers into a specific group
3) set layer blending mode (Multiply, Screen, Overlay etc.)

In general, any info as for what level of control is possible when creating PSD files would be great.
If you have any example scripts for any of the above, it would be great to study.

I do not believe that you can do that. ImageMagick will create simple layers from individual images. You will also have to create a flattened version from all your images and use that as the first layer.

I believe that you can script photoshop in later versions of Photoshop. These are scripts and not action scripts. So you could create PSD files from individual images using such scripts. I have not used it. But see https://www.adobe.com/devnet/photoshop/scripting.html